Predictive assessment of copula models

DOI10.1002/CJS.11468zbMath1466.62326OpenAlexW2903241066WikidataQ128858232 ScholiaQ128858232MaRDI QIDQ5107569

Parisa Azimaee, Elif F. Acar, M.D. Erfanul Hoque

Publication date: 28 April 2020

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11468

zbMATH Keywords

prediction errorconditional quantilescopula selectionvine copulascopula regression

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables

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